Assessing the relationship between value-at-risk and expected returns by considering the impact of investor sentiment in the Tehran Stock Exchange

Article Type:
Research/Original Article (دارای رتبه معتبر)

Individual decisions in the new paradigm of financial science are influenced by emotional factors. These factors can also have an impact on financial markets. First, using the Baker and Wurgler model (2007) to model the Iranian capital market sentiment index, and the capital market is divided into two periods of low and high sentiment. In order to examine the relationship between cross-sectional return and value-at-risk (VaR) in periods of high and low sentiment, two approaches were used: Fama-Macbeth regression model and single-sorting and double-sorting. The statistical population of this study consists of 130 companies represented on the Tehran Stock Exchange, selected using a systematic elimination method. MATLAB software was used to implement the method. It was found that, regarding the sentiment factor, there is a significant relationship between VaR and excess return, such that VaR changes were greater in periods of high sentiment than those in the periods of low sentiments. During periods of high sentiment, shareholders’ transactions are determined solely by emotions and with high risk. Furthermore, the relationship between excess return and VaR was only influenced by momentum

Quarterly Journal of Fiscal and Economic Policies, Volume:11 Issue: 42, 2023
137 to 171  
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یک‌ساله به مبلغ 1,390,000ريال می‌توانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
  • حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران می‌شود.
  • پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانه‌های چاپی و دیجیتال را به کاربر نمی‌دهد.
In order to view content subscription is required

Personal subscription
Subscribe for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!